Macro Forecasting Abilities of Mutual Fund Managers in the Indian Capital Market
Keywords:
Macro Forecasting Abilities, Equity Mutual Funds, Gamma CoefficientAbstract
Mutual funds are the most significant route of collective investing and provide investors with the benefits of professional portfolio management and greater diversification. The Indian Mutual Fund Industry has registered healthy growth during the last four decades. The assets managed by mutual funds in India at the end of March 2010 stood at 613,978.94 crores. Using daily data from April 2006 to December 2009, this study empirically examines the macro forecasting abilities of thirty five equity mutual fund managers in India. The macro forecasting performance was analysed using Treynor and Mazuy Model (1966) and Henriksson and Merton Model (1981). The study concluded that the fund managers of the sample equity schemes failed to assess the market movements correctly. It implies that these fund managers were unable to adjust the portfolio composition in anticipation of favourably capitalising on future movements in the stock market.
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